• Journal of the Korean Statistical Society
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• 제26권3호
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• pp.407-416
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• 1997

Suppose that { $X_{i}$ } is a stationary AR(1) process and { $Y_{j}$ } is an ARX process with { $X_{i}$ } as exogeneous variables. Let $Y_{j}$ $^{*}$ be the stochastic process which is the sum of $Y_{j}$ and a nonstochastic trend. In this paper we consider the problem of estimating the conditional probability that $Y_{{n+1}}$$^{*}$ is bigger than $X_{{n+1}}$, given $X_{1}$, $Y_{1}$$^{*}$,..., $X_{n}$ , $Y_{n}$ $^{*}$. As an estimator for the tolerance probability, an Mann-Whitney statistic based on least squares residuars is suggested. It is shown that the deviations between the estimator and true probability are stochatically bounded with $n^{{-1}$2}/ order. The result may be applied to the stress-strength reliability theory when the stress and strength variables violate the classical iid assumption.umption.n.

• 응용통계연구
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• 제4권1호
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• pp.13-24
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• 1991

절산된 선형의 단일방정식 회귀모형의 추정은 Tobin(1958)에 의하여 처음으로 조사된 후 Amemiya(1973)를 기점으로 활발한 연구가 진행되었으나, 절삭된 비선형의 연립방정식 모형에 대하여는 연구결과가 거의 전무한 상태이다. 본 논문에서는 단순한 형태의 절삭된 비선형 연립방정식 모형을 가정하고 이 모형을 대상으로 몇가지 가능한 추정방법들 즉, 구조방정식에 대한 최우추정량(MLE)과 Lee and Hurd(1989)에서 소개된 2단계 준최우추정량(2QMLE) 및 또 다른 대안이 될 수 있는 추정량을 서로 몬테칼로 방법으로 비교 검토하였다. 그 결과 MLE의 적용이 실제적으로 불가능한 상황에서는 2QMLE가 MLE의 대안으로 충분히 사용될 수 있음을 보여 주었다.

• Journal of the Korean Statistical Society
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• 제24권2호
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• pp.481-493
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• 1995

An ARIMA signal observed with measurement error is shown to have another ARIMA representation with nonlinear restrictions on parameters. For this model, the restricted Newton-Raphson estimator(RNRE) of the unit root is shown to have the same limiting distribution as the ordinary least squares estimator of the unit root in an AR(1) model tabulated by Dickey and Fuller (1979). The RNRE of parameters of the ARIMA(p,1,k) process and unit root tests base on the RNRE are developed.

• 한국통신학회논문지
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• 제42권3호
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• pp.661-672
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• 2017

본 논문은 지구를 구체(Sphere)로 모델링하고, 좌표계 변환 없이 위경도 좌표계에서 지구 곡률이 고려된 곡선형태의 신호방향선(Line Of Bearing, LOB)을 이용하여 비선형 최소제곱법(Nonlinear Least Squared Estimator, NLSE)으로 고정형 신호원의 위치를 추정하는 방법을 소개한다. 그리고 추가적으로 지구를 타원체(Ellipsoid)로 모델링하여 위치추정성능을 개선하는 방법을 제안한다. 모의실험을 통해 지구 곡률이 고려된 곡선 LOB를 이용하는 NLSE 방법이 기존 삼각측량법(Triangulation Method) 대비 우수한 위치추정 성능을 가짐을 보이고 타원체 모델을 이용하여 위치추정성능을 개선함을 보인다.

• 응용통계연구
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• 제17권2호
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• pp.205-218
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• 2004

제품이나 서비스에 대한 소비자의 선호도에 영향을 미치는 주요 속성들의 중요도를 평가하고 각 속성의 수준에 대한 선호도를 측정하며 제품프로파일에 대한 선호도를 예측하기 위하여 컨조인트분석이 사용되는데, 제품 포지셔닝이나 신제품 개발 분야에 이분석이 많이 활용되고 있다. 본 논문에서는 체비쉐프추정에 바탕을 둔 컨조인트분석에 관하여 연구하였는데, 소비자로 하여금 제품프로파일별 선호도를 순위로 응답하게 하는 경우 최소자승추정에 의 한 컨조인트 분석의 효율성이 상대적으로 낮다고 판단되기 때문이다. 따라서 새로운 개념의 휴대전화기에 대한 소비자들의 선호도를 조사하고 체비쉐프추정에 의한 컨조인트분석을 실행하여 신제품 개발에 활용하도록 하였다. 추정 방법 별로 예측타당성을 측정하여 비교하였는데, 체비쉐프추정에 의한 컨조인트분석이 최소자승추정에 의한 컨조인트분석보다 타당성이 높다는 사실을 확인하였다.

• Smart Structures and Systems
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• 제14권6호
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• pp.1247-1267
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• 2014

Real-Time Hybrid Simulation (RTHS) is a novel approach conceived to evaluate dynamic responses of structures with parts of a structure physically tested and the remainder parts numerically modelled. In RTHS, delay estimation is often a precondition of compensation; nonetheless, system delay may vary during testing. Consequently, it is sometimes necessary to measure delay online. Along these lines, this paper proposes an online delay estimation method using least-squares algorithm based on a simplified physical system model, i.e., a pure delay multiplied by a gain reflecting amplitude errors of physical system control. Advantages and disadvantages of different delay estimation methods based on this simplified model are firstly discussed. Subsequently, it introduces the least-squares algorithm in order to render the estimator based on Taylor series more practical yet effective. As a result, relevant parameter choice results to be quite easy. Finally in order to verify performance of the proposed method, numerical simulations and RTHS with a buckling-restrained brace specimen are carried out. Relevant results show that the proposed technique is endowed with good convergence speed and accuracy, even when measurement noises and amplitude errors of actuator control are present.

• 한국음향학회지
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• 제14권3호
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• pp.37-48
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• 1995

일반화된 완전최소자승법 (generalized total least squares method, GTLS)의 ARMA 시스템 식별에의 적용과 GTLS의 적응알고리듬에 대하여 논한다. 일반화된 완전최소자승법은 일별과 출력을 알고 있는 시스템식별 (system identification)문제에서, 출력이 잡음에 의하여 오염된 경우, 편이되지 않은 해를 구하기 위하여 사용되는 방법이다. 본 논문에서는 먼저 GTLS를 ARMA 시스템 식별에 적용하기 위한 formulation을 하고, 일반화된 완전최소자승법의 일반 해의 성질과 역행렬 정리 (matrix inverse lemma)를 이용하여 적응 GTLS 방법을 제안한다. 다음 제안된 방법을 통하여 시스템식별에 적용하여 그 성능을 평가한다. 또한 GTLS 알고리듬과 제안한 적응 GTLS 알고리듬의 성능을 수학적으로 해석하고 컴퓨터 시뮬레이션을 통하여 이를 검증한다.

• 전기학회논문지
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• 제58권12호
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• pp.2520-2528
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• 2009

In this paper, we proposed tracking detection methodology using information granulation-based fuzzy radial basis function neural networks (IG-FRBFNN). According to IEC 60112, tracking device is manufactured and utilized for experiment. We consider 12 features that can be used to decide whether tracking phenomenon happened or not. These features are considered by signal processing methods such as filtering, Fast Fourier Transform(FFT) and Wavelet. Such some effective features are used as the inputs of the IG-FRBFNN, the tracking phenomenon is confirmed by using the IG-FRBFNN. The learning of the premise and the consequent part of rules in the IG-FRBFNN is carried out by Fuzzy C-Means (FCM) clustering algorithm and weighted least squares method (WLSE), respectively. Also, Hierarchical Fair Competition-based Parallel Genetic Algorithm (HFC-PGA) is exploited to optimize the IG-FRBFNN. Effective features to be selected and the number of fuzzy rules, the order of polynomial of fuzzy rules, the fuzzification coefficient used in FCM are optimized by the HFC-PGA. Tracking inference engine is implemented by using the LabVIEW and loaded into embedded system. We show the superb performance and feasibility of the tracking detection system through some experiments.

• The Journal of Asian Finance, Economics and Business
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• 제7권11호
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• pp.647-656
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• 2020

This study empirically examines the effect of ownership structure on bank diversification and risk-taking behavior. The population of this study is based on all commercial banks listed in Bangladesh. Thirty-two conventional commercial banks were randomly selected from thirty-three conventional banks for this study. Data was collected from the annual reports of the concerned banks from 2000 to 2017. To analyze the data, we had applied the two-stage least squares (2SLS) estimator. The results of the analysis show that ownership structure i.e. managerial ownership, institutional ownership, general public ownership, and ownership concentration have a significant negative impact on bank diversification. On the other hand, institutional ownership, managerial ownership, and general public ownership have a significant positive impact on Z-score, and ownership concentration has an insignificant but positive impact on the Z-score of banks in Bangladesh. Therefore, the study opposes the benefits of diversification and promotes ownership structure which is capable of ensuring better financial stability by reducing the probability of risk. The policy-makers especially, Bangladesh banks should evaluate the fact of this study to issue guidelines on corporate governance, bank diversification, and risk-taking behavior of commercial banks.

• Smart Structures and Systems
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• 제15권1호
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• pp.57-80
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• 2015

Extended Kalman Filter (EKF) has been widely used for structural identification and damage detection. However, conventional EKF approaches require that external excitations are measured. Also, in the conventional EKF, unknown structural parameters are included as an augmented vector in forming the extended state vector. Hence the sizes of extended state vector and state equation are quite large, which suffers from not only large computational effort but also convergence problem for the identification of a large number of unknown parameters. Moreover, such approaches are not suitable for intelligent structural damage detection due to the limited computational power and storage capacities of smart sensors. In this paper, a two-stage and two-step algorithm is proposed for the identification of structural damage as well as unknown external excitations. In stage-one, structural state vector and unknown structural parameters are recursively estimated in a two-step Kalman estimator approach. Then, the unknown external excitations are estimated sequentially by least-squares estimation in stage-two. Therefore, the number of unknown variables to be estimated in each step is reduced and the identification of structural system and unknown excitation are conducted sequentially, which simplify the identification problem and reduces computational efforts significantly. Both numerical simulation examples and lab experimental tests are used to validate the proposed algorithm for the identification of structural damage as well as unknown excitations for structural health monitoring.